| In the development process of modcrn economies,the theory of financial market microstructure has always been one of the focuses of its research.As an important part of microeconomics,the research direction of information economics is how information affects the economy and various aspects of decision-making.The development momentum of information economics is very strong,which has spawned many research fields,among which information asymmetry has been highly concerned by the academic circle,In the existing literature,information asymmetry phenomenon caused by the adverse selection,reduce the efficiency of markets which includes the infornation efficiency and resource al location efficicncy,and the cost of information can also be caused by the presence of bid-ask spread in the market,which affects the operation behavior of traders and the quality of the market,eg.liqudity.As an important feature of the security market,whether the change of liquidity can measure the change of asymmetric information,that is,the relationship between the probability of informed trading in market and the quality of market liquidity,is something we need to explore.During this period,the measurement methods of information asymmetry level are also constantly improved,among which the EKOP model,which directly measures information asymmetry level,is widely used,and many scholars have carried out research on this model.During these years,society has developed rapidly,network technology and algorithmic trading are gradually prevalent and high-frequency trading is also increasingly appearing in people’s eyes.All these will have a certain impact on market Informed Trading),the model can be used to reflect the market instruction stream toxicity,to forecast the impending volatility in the market,American scholar Easley et al.use the data of the Dow Jones industrial average of the "Flash Crash" on 6,May,2010.It is found that VPIN can be used to predict the drastic fluctuations of market prices.However,the trading rules of China’s securities market differ from those of the USA.Starting from the background of China’s stock index futures trading,this paper discusses the applicability of VPIN in China’s stock index futures market,so as to find out the relationship between VPIN and liquidity.In terms of data,this paper uses the trading data of IF.CFE.The empirical results show that the VPIN index is applicable to China’s stock index futures market and can predict the market price fluctuation whether it is before or after the bad news of "stock market crash" or the good news of the central bank’s reserve ratio reduction.In addition,the data of IC is also used,there is a negative correlation between VPIN and current and next liquidity levels in the market.the change of market conditions weakens VPIN and the negative prediction effect on liquidity.This shows that the existence of informed trading has a serious impact on the liquidity of the market.In addition,the efficiency of price information transmission is limited,so uninformed traders have to postpone trading due to the greater risk,which limits the liquidity of the market.However,liquidity has a negative effect on the probability of market informed transactions and the increase of market liquidity reduces the degree of private information.The research findings of this paper provide some references for the supervision and management of China’s securities market and the standardization of financial market operation order. |
